Venter, Pierre J.; Maré, Eben; Pindza, Edson - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-9
In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX). The first model is symmetric and the other takes asymmetric effects into account. Furthermore, the accuracy of the...
